Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.1580
Annualized Std Dev 0.3732
Annualized Sharpe (Rf=0%) -0.4234

Row

Daily Return Statistics

Close
Observations 3761.0000
NAs 1.0000
Minimum -0.2532
Quartile 1 -0.0119
Median 0.0003
Arithmetic Mean -0.0004
Geometric Mean -0.0007
Quartile 3 0.0118
Maximum 0.1667
SE Mean 0.0004
LCL Mean (0.95) -0.0012
UCL Mean (0.95) 0.0003
Variance 0.0006
Stdev 0.0235
Skewness -0.6749
Kurtosis 11.2762

Downside Risk

Close
Semi Deviation 0.0172
Gain Deviation 0.0157
Loss Deviation 0.0181
Downside Deviation (MAR=210%) 0.0219
Downside Deviation (Rf=0%) 0.0174
Downside Deviation (0%) 0.0174
Maximum Drawdown 0.9819
Historical VaR (95%) -0.0362
Historical ES (95%) -0.0555
Modified VaR (95%) -0.0380
Modified ES (95%) -0.0819
From Trough To Depth Length To Trough Recovery
2008-07-15 2020-04-28 NA -0.9819 3194 2968 NA
2006-07-14 2007-01-18 2007-10-31 -0.4098 328 129 199
2008-01-03 2008-02-06 2008-02-19 -0.1204 32 24 8
2007-11-21 2007-12-05 2008-01-02 -0.1118 28 10 18
2006-04-24 2006-06-13 2006-07-13 -0.1048 57 36 21

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA 2.7 -1.3 0.4 0.9 -1.6 0.3 0 0.9 0.6 2.8
2007 -0.8 0.1 -0.5 -1.7 1 1 -1.3 0.5 -1.5 -1.5 -2.4 -0.2 -7.2
2008 -2.6 -1.3 -0.4 -2.3 0.8 0.8 1.1 -0.6 -3 2.9 -5.2 9.6 -0.8
2009 0 -0.7 -1.6 3.5 2.8 -1.2 3.7 -2.2 0.1 -3.9 1.2 0.4 1.9
2010 3 -1.2 2.4 0.7 -2.5 -3.2 0.8 3.2 2.3 1.8 3.2 2.3 13.3
2011 -1.4 3.3 1.3 0.7 -2.4 -0.2 -0.6 -0.1 -4.6 -1.5 -0.4 -0.8 -6.8
2012 -1.2 2 -0.2 1.2 -3.6 7.9 1.5 1.8 0.4 0.9 1.2 1 13.3
2013 0.2 -1 -0.2 -2.3 -1.9 1.4 2.4 -0.3 -0.5 -1.6 0.8 -0.6 -3.5
2014 -0.4 0.1 -2.1 -0.4 -0.6 -0.1 -0.3 1.2 -0.8 -0.4 2.9 0.3 -0.6
2015 6.8 0.4 4.4 -0.5 0.2 -3.9 -3.2 -6.8 -0.7 1.2 0.2 0.6 -1.9
2016 -6.5 1.7 -3.8 0.7 0.5 1.8 -3.6 -2.9 0.6 0.4 3.7 0 -7.7
2017 1.4 -0.4 0.7 -0.9 -0.5 3.1 -1.8 0.4 0 -0.3 1.7 0.3 3.7
2018 2 -0.2 0.4 -1.4 -2.2 1.3 -1.3 -0.3 2.8 -2.4 -1.3 1.4 -1.3
2019 2.5 -2.4 2.6 -0.5 -5.6 2 -6.1 -2.7 -1.3 3.5 -4.3 -0.6 -12.9
2020 -2.2 -3.4 4 -1.4 1.3 1 0.5 0.1 -2.8 -1.4 -1.1 0.3 -5
2021 2.7 -1.7 3.2 NA NA NA NA NA NA NA NA NA 4.1

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2006-04-10  544. SPY    130.  0.0015   0.0001  8.90e-3   0.0075   0.0987    0.491    0.175 GLD    59.6  0.0172    0.0193
2 2006-04-11  546. SPY    129. -0.0085  -0.0147 -1.50e-3  -0.002    0.0837    0.47     0.160 GLD    59.0 -0.0099    0.0117
3 2006-04-12  543. SPY    129.  0.0019  -0.0163 -1.00e-2  -0.0033   0.0987    0.479    0.120 GLD    59.4  0.0071    0.0131
4 2006-04-13  551. SPY    129. -0.0013  -0.0165 -1.57e-2  -0.0007   0.112     0.447    0.136 GLD    59.5  0.00120   0.0037
5 2006-04-17  558. SPY    129. -0.0004  -0.0068 -1.81e-2  -0.0002   0.127     0.433    0.123 GLD    61.1  0.0267    0.0427
6 2006-04-18  566  SPY    131.  0.0159   0.0074  6.00e-4   0.0185   0.142     0.481    0.120 GLD    61.8  0.0124    0.0378
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart